报告人：陈小君 (香港理工大学)
报告题目：Stochastic and Distributionally Robust Optimization for Pure Characteristics Demand Models
摘要：This talk presents an overview of stochastic optimization and distributionally robust optimization (DRO) approaches for pure charac- teristics demand models. Moreover, we consider a multiproduct pricing problem under pure characteristics demand models when the probability distribution of the random parameter in the problem is uncertain. We formulate this problem as a DRO problem and show that the DRO problem is well-defined, and the objective function is upper semicontinuous. We also use the data-driven approach to analyze the DRO problem when the ambiguity set is given by a general moment-based case. We give convergence results as the data size tends to infinity and analyze the quantitative statistical robustness in view of the possible contamination of driven data.
